Limits, traps and misconceptions

GEX is a model based estimate, not a direct observation of dealer orders. It describes a probable pressure that other flows can overwhelm.

The limits of the measurement

• The sign rests on an assumption, except with real MM data. If the assumption is wrong, a "brake" level can be an accelerator.
• Dealers do not all hedge, nor right away, nor only with ES. They also use SPY, other options, or net their positions against each other.
• Volume based levels move during the session, sometimes a lot after a large print.
• The SPX to ES conversion adds one or two points of uncertainty to every level.